Greg Mortimer's 3-pointer gave the Bulldogs (2-1) an 8-point lead with 2:21 left and McCray's jumper at the 53-second mark made it 77-68.
Lotanna Nwogbo had career highs with 27 points and 15 rebounds for Longwood (2-1). The Lancers twice narrowed a 9-point halftime deficit to 2 but never took the lead in the second half.
Ed Stephens had 12 points with 3-of-6 3-point shooting and Mortimer added 10 points for South Carolina State.
McCray scored 14 of his points in the first half to help the Bulldogs build a 39-30 lead at intermission.